
arXiv: 0909.3151
This paper considers the problem of estimating a periodic function in a continuous time regression model with a general square integrable semimartingale noise. A model selection adaptive procedure is proposed. Sharp non-asymptotic oracle inequalities have been derived.
непараметрическая регрессия, оракульные неравенства, семимартингальный шум, FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST)
непараметрическая регрессия, оракульные неравенства, семимартингальный шум, FOS: Mathematics, Mathematics - Statistics Theory, Statistics Theory (math.ST)
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